The ubiquity of implicit feedback makes them the default choice to build modern recommender systems. Generally speaking, observed interactions are considered as positive samples, while unobserved interactions are considered as negative ones. However, implicit feedback is inherently noisy because of the ubiquitous presence of noisy-positive and noisy-negative interactions. Recently, some studies have noticed the importance of denoising implicit feedback for recommendations, and enhanced the robustness of recommendation models to some extent. Nonetheless, they typically fail to (1) capture the hard yet clean interactions for learning comprehensive user preference, and (2) provide a universal denoising solution that can be applied to various kinds of recommendation models. In this paper, we thoroughly investigate the memorization effect of recommendation models, and propose a new denoising paradigm, i.e., Self-Guided Denoising Learning (SGDL), which is able to collect memorized interactions at the early stage of the training (i.e., "noise-resistant" period), and leverage those data as denoising signals to guide the following training (i.e., "noise-sensitive" period) of the model in a meta-learning manner. Besides, our method can automatically switch its learning phase at the memorization point from memorization to self-guided learning, and select clean and informative memorized data via a novel adaptive denoising scheduler to improve the robustness. We incorporate SGDL with four representative recommendation models (i.e., NeuMF, CDAE, NGCF and LightGCN) and different loss functions (i.e., binary cross-entropy and BPR loss). The experimental results on three benchmark datasets demonstrate the effectiveness of SGDL over the state-of-the-art denoising methods like T-CE, IR, DeCA, and even state-of-the-art robust graph-based methods like SGCN and SGL.